Volatility Forecasting In Python

In this blog post, we will explore how we can use Python to forecast volatility using three methods: Naive, the popular GARCH and machine learning with scikit-learn. Volatility here is the standard deviation of the returns of a financial instrument. I will teach you starting points to kickstart your own research. Installing ARCH and mlforecast First we need to install the required packages. You can do it with pip: pip install arch pip install mlforecast or with conda:...

February 18, 2023 · 9 min · Mario Filho